发布求助
文献互助 智能选刊 最新文献

Journal of Optimization Theory and Applications最新文献

筛选
英文 中文
Treatment of Set-Valued Robustness via Separation and Scalarization 通过分离和标量化处理集值鲁棒性
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-13 DOI: 10.1007/s10957-024-02423-4
Madhusudan Das, Chandal Nahak, Mahendra Prasad Biswal
{"title":"Treatment of Set-Valued Robustness via Separation and Scalarization","authors":"Madhusudan Das, Chandal Nahak, Mahendra Prasad Biswal","doi":"10.1007/s10957-024-02423-4","DOIUrl":"https://doi.org/10.1007/s10957-024-02423-4","url":null,"abstract":"<p>This paper aims to present alternative characterizations for different types of set-valued robustness concepts. Equivalent scalar representations for various set order relations are derived when the sets are the union of sets. Utilizing these findings in conjunction with image space analysis, specific isolated sets are defined for different notions of robust solutions. These isolated sets serve as the basis for deriving both necessary and sufficient robust optimality conditions. The validity of the results is demonstrated through several illustrative examples. Additionally, the paper concludes with an application of our present approach to two-player zero-sum matrix games.\u0000</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"3 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579976","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Application of Portfolio Optimization to Achieve Persistent Time Series 应用投资组合优化实现持久时间序列
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-12 DOI: 10.1007/s10957-024-02426-1
Adam Zlatniczki, Andras Telcs
{"title":"Application of Portfolio Optimization to Achieve Persistent Time Series","authors":"Adam Zlatniczki, Andras Telcs","doi":"10.1007/s10957-024-02426-1","DOIUrl":"https://doi.org/10.1007/s10957-024-02426-1","url":null,"abstract":"<p>The greater the persistence in a financial time series, the more predictable it becomes, allowing for the development of more effective investment strategies. Desirable attributes for financial portfolios include persistence, smoothness, long memory, and higher auto-correlation. We argue that these properties can be achieved by adjusting the composition weights of the portfolio. Considering the fractal nature of typical financial time series, the fractal dimension emerges as a natural metric to gauge the smoothness of the portfolio trajectory. Specifically, the Hurst exponent is designed for measuring the persistence of time series. In this paper, we introduce an optimization method inspired by the Hurst exponent and signal processing to mitigate the irregularities in the portfolio trajectory. We illustrate the effectiveness of this approach using real data from an S &amp;P100 dataset.\u0000</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"51 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Computing Second-Order Points Under Equality Constraints: Revisiting Fletcher’s Augmented Lagrangian 在相等约束条件下计算二阶点：重温弗莱彻的增量拉格朗日
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-11 DOI: 10.1007/s10957-024-02421-6
Florentin Goyens, Armin Eftekhari, Nicolas Boumal
{"title":"Computing Second-Order Points Under Equality Constraints: Revisiting Fletcher’s Augmented Lagrangian","authors":"Florentin Goyens, Armin Eftekhari, Nicolas Boumal","doi":"10.1007/s10957-024-02421-6","DOIUrl":"https://doi.org/10.1007/s10957-024-02421-6","url":null,"abstract":"<p>We address the problem of minimizing a smooth function under smooth equality constraints. Under regularity assumptions on these constraints, we propose a notion of approximate first- and second-order critical point which relies on the geometric formalism of Riemannian optimization. Using a smooth exact penalty function known as Fletcher’s augmented Lagrangian, we propose an algorithm to minimize the penalized cost function which reaches <span>(varepsilon )</span>-approximate second-order critical points of the original optimization problem in at most <span>({mathcal {O}}(varepsilon ^{-3}))</span> iterations. This improves on current best theoretical bounds. Along the way, we show new properties of Fletcher’s augmented Lagrangian, which may be of independent interest.\u0000</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"51 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Short Note on Super-Hedging an Arbitrary Number of European Options with Integer-Valued Strategies 用整数策略超级对冲任意数量欧式期权的简短说明
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-11 DOI: 10.1007/s10957-024-02409-2
Dorsaf Cherif, Meriam El Mansour, Emmanuel Lepinette
{"title":"A Short Note on Super-Hedging an Arbitrary Number of European Options with Integer-Valued Strategies","authors":"Dorsaf Cherif, Meriam El Mansour, Emmanuel Lepinette","doi":"10.1007/s10957-024-02409-2","DOIUrl":"https://doi.org/10.1007/s10957-024-02409-2","url":null,"abstract":"<p>The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance. This is clearly contrary to what it is possible to do in the real world. Surprisingly, it seems that there are not many contributions in that direction in the literature, except for a finite number of states. In this paper, for arbitrary <span>(Omega )</span>, we show that, in discrete-time, it is possible to evaluate the minimal super-hedging price when we restrict ourselves to integer-valued strategies. To do so, we only consider terminal claims that are continuous piecewise affine functions of the underlying asset. We formulate a dynamic programming principle that can be directly implemented on historical data and which also provides the optimal integer-valued strategy. The problem with general payoffs remains open but should be solved with the same approach.\u0000</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"13 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Numerical Approaches for Constrained and Unconstrained, Static Optimization on the Special Euclidean Group SE(3) 特殊欧几里得群 SE(3) 上有约束和无约束静态优化的数值方法
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-11 DOI: 10.1007/s10957-024-02431-4
Brennan McCann, Morad Nazari, Christopher Petersen
{"title":"Numerical Approaches for Constrained and Unconstrained, Static Optimization on the Special Euclidean Group SE(3)","authors":"Brennan McCann, Morad Nazari, Christopher Petersen","doi":"10.1007/s10957-024-02431-4","DOIUrl":"https://doi.org/10.1007/s10957-024-02431-4","url":null,"abstract":"<p>In this paper, rigid body static optimization is investigated on the Riemannian manifold of rigid body motion groups. This manifold, which is also a matrix manifold, provides a framework to formulate translational and rotational motions of the body, while considering any coupling between those motions, and uses members of the special orthogonal group <span>(textsf{SO}(3))</span> to represent the rotation. Hence, it is called the special Euclidean group <span>(textsf{SE}(3))</span>. Formalism of rigid body motion on <span>(textsf{SE}(3))</span> does not fall victim to singularity or non-uniqueness issues associated with attitude parameterization sets. Benefiting from Riemannian matrix manifolds and their metrics, a generic framework for unconstrained static optimization and a customizable framework for constrained static optimization are proposed that build a foundation for dynamic optimization of rigid body motions on <span>(textsf{SE}(3))</span> and its tangent bundle. The study of Riemannian manifolds from the perspective of rigid body motion introduced here provides an accurate tool for optimization of rigid body motions, avoiding any biases that could otherwise occur in rotational motion representation if attitude parameterization sets were used.</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"32 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140580034","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Doubly Nonlinear Evolution System with Threshold Effects Associated with Dry Friction 与干摩擦相关的具有阈值效应的双非线性演化系统
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-10 DOI: 10.1007/s10957-024-02417-2
Samir Adly, Hedy Attouch, Manh Hung Le
{"title":"A Doubly Nonlinear Evolution System with Threshold Effects Associated with Dry Friction","authors":"Samir Adly, Hedy Attouch, Manh Hung Le","doi":"10.1007/s10957-024-02417-2","DOIUrl":"https://doi.org/10.1007/s10957-024-02417-2","url":null,"abstract":"<p>In this paper, we investigate the asymptotic behavior of inertial dynamics with dry friction within the context of a Hilbert framework for convex differentiable optimization. Our study focuses on a doubly nonlinear first-order evolution inclusion that encompasses two potentials. In our analysis, we specifically focus on two main components: the differentiable function <i>f</i> that needs to be minimized, which influences the system’s state through its gradient, and the nonsmooth dry friction potential denoted as <span>(varphi = rVert cdot Vert )</span>. It’s important to note that the dry friction term acts on a linear combination of the velocity vector and the gradient of <i>f</i>. Consequently, any stationary point in our system corresponds to a critical point of <i>f</i>, unlike the case where only the velocity vector is involved in the dry friction term, resulting in an approximate critical point of <i>f</i>. To emphasize the crucial role of <span>(nabla f(x))</span>, we also explore the dual formulation of this dynamic, which possesses a Riemannian gradient structure. To address these dynamics, we employ the recently developed generic acceleration approach by Attouch, Bot, and Nguyen. This approach involves the time scaling of a continuous first-order differential equation, followed by the application of the method of averaging. By applying this methodology, we derive fast convergence results for second-order time-evolution systems with dry friction, asymptotically vanishing viscous damping, and implicit Hessian-driven damping.</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"49 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579806","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model 自激索赔模式下的最佳索赔比例再保险
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-10 DOI: 10.1007/s10957-024-02429-y
Fan Wu, Yang Shen, Xin Zhang, Kai Ding
{"title":"Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model","authors":"Fan Wu, Yang Shen, Xin Zhang, Kai Ding","doi":"10.1007/s10957-024-02429-y","DOIUrl":"https://doi.org/10.1007/s10957-024-02429-y","url":null,"abstract":"<p>This paper investigates an optimal reinsurance problem for an insurance company with self-exciting claims, where the insurer’s historical claims affect the claim intensity itself. We focus on a claim-dependent proportional reinsurance contact, where the term “claim-dependent” signifies that the insurer’s risk retention ratio is allowed to depend on claim size. The insurer aims to maximize the expected utility of terminal wealth. By utilizing the dynamic programming principle and verification theorem, we obtain the optimal reinsurance strategy and corresponding value function in closed-form from the Hamilton–Jacobi–Bellman equation under an exponential utility function. We show that the claim-dependent proportional reinsurance is optimal among all types of reinsurance under the exponential utility maximization criterion. In addition, we present several analytical properties and numerical examples of the derived optimal strategy and provide economic insights through analytical and numerical analyses. In particular, we show the optimal claim-dependent proportional reinsurance can be considered as a continuous approximation of the step-wise risk sharing rule between the insurer and the reinsurer.</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"42 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579955","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Infeasible and Critically Feasible Optimal Control 不可行和关键可行的最优控制
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-10 DOI: 10.1007/s10957-024-02419-0
Regina S. Burachik, C. Yalçın Kaya, Walaa M. Moursi
{"title":"Infeasible and Critically Feasible Optimal Control","authors":"Regina S. Burachik, C. Yalçın Kaya, Walaa M. Moursi","doi":"10.1007/s10957-024-02419-0","DOIUrl":"https://doi.org/10.1007/s10957-024-02419-0","url":null,"abstract":"<p>We consider optimal control problems involving two constraint sets: one comprised of linear ordinary differential equations with the initial and terminal states specified and the other defined by the control variables constrained by simple bounds. When the intersection of these two sets is empty, typically because the bounds on the control variables are too tight, the problem becomes infeasible. In this paper, we prove that, under a controllability assumption, the “best approximation” optimal control minimizing the distance (and thus finding the “gap”) between the two sets is of bang–bang type, with the “gap function” playing the role of a switching function. The critically feasible control solution (the case when one has the smallest control bound for which the problem is feasible) is also shown to be of bang–bang type. We present the full analytical solution for the critically feasible problem involving the (simple but rich enough) double integrator. We illustrate the overall results numerically on various challenging example problems.</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"185 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579952","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lagrange Multipliers in Locally Convex Spaces 局部凸空间中的拉格朗日乘数
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-09 DOI: 10.1007/s10957-024-02428-z
Mohammed Bachir, Joël Blot
{"title":"Lagrange Multipliers in Locally Convex Spaces","authors":"Mohammed Bachir, Joël Blot","doi":"10.1007/s10957-024-02428-z","DOIUrl":"https://doi.org/10.1007/s10957-024-02428-z","url":null,"abstract":"<p>We give a general Lagrange multiplier rule for mathematical programming problems in a Hausdorff locally convex space. We consider infinitely many inequality and equality constraints. Our results gives in particular a generalisation of the result of Jahn (Introduction to the theory of nonlinear optimization, Springer, Berlin, 2007), replacing Fréchet-differentiability assumptions on the functions by the Gateaux-differentiability. Moreover, the closed convex cone with a nonempty interior in the constraints is replaced by a strictly general class of closed subsets introduced in the paper and called <i>“admissible sets”</i>. Examples illustrating our results are given.</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"99 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Some Perturbation Bounds of the Tensor Complementarity Problem 张量互补问题的一些扰动边界
IF 1.9 3区 数学
Journal of Optimization Theory and Applications Pub Date : 2024-04-09 DOI: 10.1007/s10957-024-02420-7
Li-Ming Li, Shi-Liang Wu, Ping-Fan Dai
{"title":"Some Perturbation Bounds of the Tensor Complementarity Problem","authors":"Li-Ming Li, Shi-Liang Wu, Ping-Fan Dai","doi":"10.1007/s10957-024-02420-7","DOIUrl":"https://doi.org/10.1007/s10957-024-02420-7","url":null,"abstract":"<p>In this paper, we introduce some constants with the tensors of special structures and present their some useful properties. Furthermore, some perturbation bounds of the tensor complementarity problem are obtained on the base of these constants.\u0000</p>","PeriodicalId":50100,"journal":{"name":"Journal of Optimization Theory and Applications","volume":"34 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信